Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1029 |
| Annualized Std Dev | 0.1328 |
| Annualized Sharpe (Rf=0%) | -0.7744 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3243.0000 |
| NAs | 1.0000 |
| Minimum | -0.0680 |
| Quartile 1 | -0.0053 |
| Median | -0.0006 |
| Arithmetic Mean | -0.0004 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0044 |
| Maximum | 0.0486 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0001 |
| Stdev | 0.0084 |
| Skewness | -0.1452 |
| Kurtosis | 3.4104 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0059 |
| Gain Deviation | 0.0055 |
| Loss Deviation | 0.0057 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0061 |
| Downside Deviation (0%) | 0.0061 |
| Maximum Drawdown | 0.7984 |
| Historical VaR (95%) | -0.0130 |
| Historical ES (95%) | -0.0191 |
| Modified VaR (95%) | -0.0139 |
| Modified ES (95%) | -0.0218 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-16 | 2020-08-04 | NA | -0.7984 | 3214 | 3056 | NA |
| 2008-05-30 | 2008-06-06 | 2008-06-12 | -0.0280 | 10 | 6 | 4 |
| 2008-05-07 | 2008-05-09 | 2008-05-14 | -0.0205 | 6 | 3 | 3 |
| 2008-05-15 | 2008-05-20 | 2008-05-27 | -0.0192 | 8 | 4 | 4 |
| 2008-05-05 | 2008-05-05 | 2008-05-06 | -0.0035 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | -0.4 | 0.3 | -0.1 | 0.4 | -1.2 | 0.5 | -3.2 | 2.2 | -1.4 |
| 2009 | 0 | -0.2 | -0.4 | 0.4 | 3.2 | 0.1 | -2.1 | -0.6 | -1.8 | -1.4 | 1 | 0.6 | -1.1 |
| 2010 | 0.8 | -0.2 | 0.5 | -1.2 | -0.5 | -0.1 | -1.1 | 1.4 | 0 | 0.3 | 2.4 | -1 | 1.3 |
| 2011 | 0.9 | -0.3 | -0.3 | -0.2 | -1.7 | 0.6 | -0.8 | -1.5 | -1.3 | -2.2 | 0 | -0.7 | -7.3 |
| 2012 | 0.8 | 0.7 | 1 | 0.4 | -1.6 | 0.8 | 0.6 | -1.2 | -0.3 | 0.2 | 0 | 1.1 | 2.4 |
| 2013 | 0.7 | -0.5 | -0.5 | -0.7 | 0.5 | -0.2 | 1.8 | 0.4 | 0.4 | 1.1 | 0.1 | 0.8 | 3.9 |
| 2014 | -0.8 | 0.2 | 0.5 | -0.5 | 0.3 | 0.7 | -1.2 | 0 | -1.8 | 0.3 | 0.4 | -0.3 | -2.3 |
| 2015 | -1.8 | -0.7 | -1 | 1.1 | 1 | 1 | -1.2 | -0.8 | -0.1 | -0.4 | -0.9 | -0.6 | -4.4 |
| 2016 | 0.5 | 1.4 | 0.3 | 0 | 0 | -0.6 | 0.7 | -0.2 | 0.7 | 0 | 0.8 | -0.4 | 3.3 |
| 2017 | 0.5 | 1.5 | -0.3 | 0.8 | 0.1 | 0.2 | -0.5 | 0.4 | 0.3 | 0 | -0.6 | -0.4 | 2.1 |
| 2018 | 1 | -1 | -0.5 | 0.3 | 0.7 | 0.2 | 0.6 | 0 | 0.5 | -0.2 | -0.4 | -0.5 | 0.6 |
| 2019 | 0.9 | 0.6 | 1.3 | 0.1 | -1.3 | 0.4 | -2.2 | 0 | -0.5 | 0.5 | 0.2 | 0.5 | 0.4 |
| 2020 | -0.9 | -2.2 | -0.6 | -0.2 | 0.1 | 0.3 | -0.1 | -0.5 | -0.1 | 0.6 | 0.9 | -0.1 | -2.8 |
| 2021 | -0.2 | 0.4 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-05-01 69.9 SPY 141. 0.0207 0.0202 0.0323 0.0273 -0.0563 0.219 0.535 GLD 84.0 -0.0307 -0.037
2 2008-05-02 70.6 SPY 142. 0.0028 0.0137 0.0326 0.0138 -0.0588 0.216 0.540 GLD 84.6 0.007 -0.0308
3 2008-05-05 70.3 SPY 141. -0.00480 0.0086 0.0288 0.0218 -0.0669 0.208 0.511 GLD 86.3 0.02 -0.0162
4 2008-05-06 70.8 SPY 142. 0.0087 0.0214 0.0372 0.059 -0.059 0.209 0.527 GLD 86.6 0.0042 0.00960
5 2008-05-07 70.4 SPY 140. -0.0178 0.0091 0.0197 0.0486 -0.0745 0.188 0.486 GLD 85.8 -0.0094 -0.00960
6 2008-05-08 69.5 SPY 139. -0.0026 -0.0139 0.0245 0.0391 -0.0794 0.188 0.490 GLD 87.2 0.0165 0.0387
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
